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EXCHANGE RATE PASS-THROUGH TO CONSUMER PRICES IN TURKEY: EVIDENCE FROM ARDL AND NONLINEAR ARDL APPROACHES

Year 2024, Issue: 67, 1 - 13, 30.04.2024

Halil Altıntaş

https://doi.org/10.18070/erciyesiibd.1377410

Abstract

This study analyses the exchange rate pass-through to inflation in Turkey during the inflation targeting period (January 2007–May 2021) by estimating the ARDL and NARDL models. The linear ARDL model showed that there was a significant and positive increase in the inflation rate of exchange rate increases in the long run. The NARDL model results suggest that the pass-through effect of the exchange rate on inflation in Turkey shows asymmetric changes over the short and long term. The magnitudes of the coefficients of exchange rate pass-through to inflation (ERPT) differ in cases of depreciation and appreciation over the long term. NARDL estimates reveal that a 1% depreciation of the exchange rate (dolar/TL) leads to about a 0.71% and 0.51% increase in consumer prices, respectively, while appreciations in the exchange rate decrease consumer prices by approximately 0.45% in the long term. These findings imply that consumer prices react higher during depreciation than appreciation. This evidence reveals that producers with market power may be concerned with speculative behavior to make use of asymmetric exchange rate pass-through in order to profit in weakly competitive market structures. Therefore, the policymaker should provide more independence to the central bank to improve monetary policy’s credibility and strengthen the competitive market structure in financial markets in order to reduce the asymmetric effects of the exchange rate on inflation.

Keywords

Exchange rate Inflation Asymmetry NARDL

References

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TÜRKİYE’DE DÖVİZ KURUNUN TÜKETİCİ FİYATLARI ÜZERİNE GEÇİŞ ETKİSİ: ARDL ve NARDL YAKLAŞIMINDAN KANITLAR

Year 2024, Issue: 67, 1 - 13, 30.04.2024

Halil Altıntaş

https://doi.org/10.18070/erciyesiibd.1377410

Abstract

Bu çalışma Türkiye’de enflasyon hedefleme döneminde (2007 Ocak-2021 Mayıs) döviz kurunun enflasyon üzerine etkisini ARDL ve NARDL modelleriyle analiz etmektedir. Doğrusal ARDL modeli, döviz kurundaki artışların enflasyon üzerinde uzun dönemde anlamlı ve önemli artışa neden olduğunu göstermiştir. NARDL modeli sonuçlarında Türkiye’de döviz kurunun enflasyon üzerine geçiş etkisinin kısa ve uzun dönemde asimetrik değişim göstermektedir. Döviz kuru geçişkenliğinin (ERPT) katsayılarının büyüklüklerinin değer kaybı (depreciation) ve değer kazancı (appreciation) durumunda farklılaşmaktadır. Uzun dönemde TL karşısında dolar kurunda %1 değer artışının enflasyon üzerinde sırasıyla, % 0.71 ve % 0.51 artışa, TL karşısında dolar kurundaki azalmanın ise enflasyon üzerinde %0.45 azalışa neden olduğu tahmin edilmiştir. Böylece tüketici fiyatlarının TL’deki değer kaybına TL’deki değerlenmeden daha fazla tepki gösterdiği anlaşılmaktadır. Ayrıca bulgularımız, piyasa gücüne sahip üreticilerin, zayıf rekabetçi piyasa koşullarında kar elde etmek amacıyla asimetrik döviz kuru geçişkenliğini kullanma yönünde spekülatif davranışlar gösterebileceğine işaret etmektedir. Bu nedenle döviz kurunun enflasyon üzerindeki asimetrik etkilerini azaltmak için politika yapıcının merkez bankasına daha fazla bağımsızlık sağlaması, para politikasının güvenilirliğini artırması ve finansal piyasalarda rekabetçi piyasa yapısını güçlendirmesi gerekmektedir.

Keywords

Döviz Kuru Enflasyon Asimetri NARDL

References

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  • Alsamara, M., Mrabet, Z. ve Hatemi-J, A. (2020). Pass-through of import cost into consumer prices and inflation in GCC countries: Evidence from a nonlinear autoregressive distributed lags model. International Review of Economics & Finance, 70, 89–101. doi:10.1016/J.IREF.2020.07.009.
  • Altıntaş, H. (2014). Türkiye’de Döviz Kurunun Enflasyon Üzerine Geçiş Etkisinin Ekonometrik Analizi : 1987 - 2011. Uludağ Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 33(1), 163–201.
  • Altıntaş, H. (2022). Petrol Fiyatı Şoklarının BİST100 Getiri Endeksi Üzerine Kısa ve Uzun Dönem Asimetrik Etkisi: NARDL Yaklaşımından Kanıtlar. Erciyes Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, (62), 25–55. doi:10.18070/erciyesiibd.1067906.
  • Anderl, C. ve Caporale, G. M. (2023a). Nonlinearities in the exchange rate pass-through: The role of inflation expectations. International Economics. doi:10.1016/J.INTECO.2022.10.003.
  • Anderl, C. ve Caporale, G. M. (2023b). Asymmetries, uncertainty and inflation: evidence from developed and emerging economies. Journal of Economics and Finance. Springer US. doi:10.1007/s12197-023-09639-6.
  • Baharumshah, A. Z., Sirag, A. ve Soon, S. V. (2017). Asymmetric exchange rate pass-through in an emerging market economy: The case of Mexico. Research in International Business and Finance, 41(April), 247–259. doi:10.1016/j.ribaf.2017.04.034.
  • Baharumshah, A. Z., Soon, S. V. ve Wohar, M. E. (2017). Markov-switching analysis of exchange rate pass-through: Perspective from Asian countries. International Review of Economics & Finance, 51, 245–257. doi:10.1016/J.IREF.2017.05.009.
  • Bahmani-Oskooee, M., Halicioglu, F. ve Mohammadian, A. (2018). On the asymmetric effects of exchange rate changes on domestic production in Turkey. Economic Change and Restructuring, 51(2), 97–112. doi:10.1007/S10644-017-9201-X.
  • Baker, S. R., Bloom, N., Davis, S. J., Dashkeyev, V., Deriy, O., Dinh, E., … Takeda, N. (2016). Measuring Economıc Policy Uncertainty. Quarterly Journal of Economics, 131(November), 1593–1636. doi:10.1093/qje/qjw024.Advance.
  • Balcilar, M., Usman, O. ve Agbede, E. A. (2019). Revisiting the Exchange Rate Pass-Through to Inflation in Africa’s Two Largest Economies: Nigeria and South Africa. African Development Review, 31(2), 245–257. doi:10.1111/1467-8268.12381.
  • Ben Cheikh, N., Ben Zaied, Y. ve Ben Ameur, H. (2023). Recent developments in exchange rate pass-through: What have we learned from uncertain times? Journal of International Money and Finance, 131, 102805. doi:10.1016/J.JIMONFIN.2023.102805.
  • Brock, W. A., Dechert, W. D. ve Scheinkman, J. A. (1987). A Test for Independence Based on the Correlation Dimension (C. 0). doi:10.1007/978-3-319-90047-6_5.
  • Brun-Aguerre, R., Fuertes, A. M. ve Greenwood-Nimmo, M. (2017). Heads I win; tails you lose: asymmetry in exchange rate pass-through into import prices. Journal of the Royal Statistical Society. Series A: Statistics in Society, 180(2), 587–612. doi:10.1111/rssa.12213.
  • Bussiere, M. (2013). Exchange rate pass-through to trade prices: The role of nonlinearities and asymmetries. Oxford Bulletin of Economics and Statistics, 75(5), 731–758. doi:10.1111/J.1468-0084.2012.00711.X.
  • Campa, J. M. ve Goldberg, L. S. (2002). Nber Working Paper Series Exchange Rate Pass-Through Into Import Prices: a Macro or Micro Phenomenon? http://www.nber.org/papers/w8934 adresinden erişildi.
  • Caselli, F. G. ve Roitman, A. (2019). Nonlinear exchange-rate pass-through in emerging markets. International Finance, 22(3), 279–306. doi:10.1111/infi.12344.
  • Choudhri, E. U. ve Hakura, D. S. (2006). Exchange rate pass-through to domestic prices: Does the inflationary environment matter? Journal of International Money and Finance, 25(4), 614–639. doi:10.1016/j.jimonfin.2005.11.009.
  • Corrêa, W. L. R. ve Lopes, L. S. (2023). Monetary policy transmission, productive activity, and inflation in Brazil: Does uncertainty matter? The Journal of Economic Asymmetries, 27, e00285. doi:10.1016/J.JECA.2022.E00285.
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Details

Primary Language Turkish
Subjects Applied Macroeconometrics, Time-Series Analysis
Journal Section Makaleler
Authors

Halil Altıntaş 0000-0002-8565-4294

Early Pub Date April 28, 2024
Publication Date April 30, 2024
Submission Date October 17, 2023
Acceptance Date November 7, 2023
Published in Issue Year 2024 Issue: 67

Cite

APA Altıntaş, H. (2024). TÜRKİYE’DE DÖVİZ KURUNUN TÜKETİCİ FİYATLARI ÜZERİNE GEÇİŞ ETKİSİ: ARDL ve NARDL YAKLAŞIMINDAN KANITLAR. Erciyes Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi(67), 1-13. https://doi.org/10.18070/erciyesiibd.1377410
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